Search Results - subject:"Subexponentiality"

A renewal shot noise process with subexponential shot marks

Chen, Yiqing - In: Risks 7 (2019) 2, pp. 1-8

We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability. In doing so, some recent results regarding sums of randomly weighted subexponential random variables play a crucial role.

Persistent link: https://www.econbiz.de/10013200481

A renewal shot noise process with subexponential shot marks

Chen, Yiqing - In: Risks : open access journal 7 (2019) 2/63, pp. 1-8

Persistent link: https://www.econbiz.de/10012018965

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; de Vries, C.G. - 2004

Suppose are independent subexponential random variables with partial sums. We show that if the pairwise sums of the ’s are subexponential, then is subexponential and . The result is applied to give conditions under which as , where are constants such that is a.s. convergent. Asymptotic tail...

Persistent link: https://www.econbiz.de/10010325310

Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

Geluk, J.L.; de Vries, de Vries, C.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

Asymptotic tail probabilities for bivariate linear combinations of subexponential random variables are given. These results are applied to explain the joint movements of the stocks of reinsurers. Portfolio investment and retrocession practices in the reinsurance industry, for reasons of...

Persistent link: https://www.econbiz.de/10010837709

Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities

Geluk, J.L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2004

systemic risk. AMS 1991 subject classification. Primary 60F05; secondary 62E20. Key words. Subexponentiality, regular variation … subexponentiality in different areas, the reader is referred to the book by Embrechts, Kl¨uppelberg and Mikosch [13] or, more recently … of regular variation of the tail function is replaced with subexponentiality plus a one-sided growth condition. Although …

Persistent link: https://www.econbiz.de/10004991125

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Institute - 2004

Persistent link: https://www.econbiz.de/10005281962

Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities

Geluk, J.L.; Vries, C.G. de - Tinbergen Instituut - 2004

Persistent link: https://www.econbiz.de/10011255556

Weighted sums of subexponential random variables and asymptotic dependence between Returns on reinsurance equities

Geluk, J. L.; Vries, Casper G. de - 2004

Persistent link: https://www.econbiz.de/10011337998

Asymptotics in the symmetrization inequality

Geluk, J.L. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

We give a sufficient condition for i.i.d. random variables X1,X2 in order to have P{X1-X2>x} ~ P{|X1|>x} as x tends to infinity. A factorization property for subexponential distributions is used in the proof. In a subsequent paper the results will be applied to model fragility of financial markets.

Persistent link: https://www.econbiz.de/10010837803

Asymptotics in the symmetrization inequality

Geluk, J.L. - Erasmus University Rotterdam, Econometric Institute - 2003

Persistent link: https://www.econbiz.de/10008584695